One of the more delicate duties of any Gamemaster would be to find the right balance between turning your game into a maelstrom of death and having your players become bored with how easy dispatching the enemy has become. Whether the focus is on hack and slash, or the game is more role playing oriented, there is always some level of danger for the characters involved. The trick is finding how much danger to keep the adventure interesting without things turning into a George R. R. Martin novel.
In my own experience, the setting can be a big factor in how things will play out. If you are in a futuristic cyberpunk type of grim urban area, things might be expected to be more deadly than say a group of supernatural creatures roaming the World of Darkness. Shadowrun, especially, was proven to be quite dangerous to characters because of the weapons involved and the relative fragility of many of the characters. Unless you are a tricked out street samurai, a gun battle on the streets of Seattle could turn lethal very quickly. Something that is quite different from mid-level Dungeons and Dragons characters fighting, say, a group of hobgoblins.
In DnD, you have some level of warning that you getting closer to death. You watch your hitpoints fall, you can take the measure of the battle and decide its not working out, and run, retreat, surrender, or whatever tickles your fancy. In a modern day or futuristic world, you often do not have that luxury. A well aimed shot can insta-kill your character and potentially ruin your entire afternoon of gaming.
So what can a GM do? Personally, I always liked the approach of starting with an easily routable enemy, and the hiking up the danger as the game goes on. Its a tried and true approach, one that keeps someone from dying early on in the game and then sitting around for four hours watching other people play. Or worse, making a new character and then watching the GM try to awkwardly insert said character into an already running game.
Sometimes you could let your players have a backup character, one that is known to the group, and will make for easier insertion into the adventure. Or, sometimes you lessen the damage and fudge the numbers a little when it becomes obvious that a character is in trouble. Let them escape and live to fight another day.
No matter how you do, its important to remember that everyone is there to have fun, and while the occasional death is expected, don't give your players an impossible situation.
The three space marines stared at the small hole linking the two compartments. Inside was another one of the aliens, and it needed to be eliminated. However, that alien armament was deadly, even to these mutated abominations. They were out of grenades. There was only one way in, and one way out.
Tired of talking and waiting, one of the marines finally gave the signal it was time to just stage a frontal assault and accept the results. So one by one, the marines leapt through the hole into the compartment hiding the alien combatant. And one by one, the marines were torn to shreds by the automatic weapon, a vicious device that ripped through their armor and killed them almost instantly. As the last marine lay dead, a hush went through the space station.
"So what the ____ were we supposed to do?", one of the players finally yelled out, frustrated.
Indeed, it was an impossible situation the three were put in, and now the adventure was over. The GM should have improvised something to allow the marines to complete their mission. Maybe purposefully have the alien miss the first few shots. Perhaps, it could have charged out through the hole. Who knows, but one thing is certain, the players did not enjoy the encounter and the entire campaign was soon abandoned.